Investitionen in Collateralized Debt Obligations
AbstractThe paper deals with the evaluation of Collateralized Debt Obligations for investment purposes. CDOs are classified in the asset backed environment. Its specific risks (market, timing, recovery, agency) are discussed. To understand the portfolio aspect, the concept of the diversity score is carefully explained. On this basis the investment process in different tranches is described. Especially for the equity piece it can be shown, that a less diversified portfolio is more valuable. --
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Bibliographic InfoPaper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 44.
Date of creation: 2003
Date of revision:
Ausfallrisiko ; Ausfallkorrelation ; Binomial Expansion Technique ; Credit Enhancement ; Diversity Score ; Excess Spread ; Expected Loss ; Rating Arbitrage ; Target Rating ; Waterfall ; Weighted Average Rating;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
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